“Cash Flow Matching: A Risk Management Approach”, Garud Iyengar and Alfred Ka Chun Ma, July, 2009

DOI10.1080/10920277.2009.10597563MaRDI QIDQ5029077zbMATH OpenOpenAlexFDO

Authors Ken O. Kortanek

Publication date 11 February 2022

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2009.10597563

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; risk measures (91G70) Optimal stochastic control (93E20)

Cites work

• An optimization model for extracting forward interest rates from a dynamical systems under financial uncertainty
• scientific article; zbMATH DE number 1868935 (Why is no real title available?)
• scientific article; zbMATH DE number 852306 (Why is no real title available?)
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Variance of the CTE Estimator

Describes a project that uses

Uses Software

• LINDO
• LINGO

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